Skip to content Skip to navigation
University of Warwick
  • Study
  • |
  • Research
  • |
  • Business
  • |
  • Alumni
  • |
  • News
  • |
  • About

University of Warwick
Publications service & WRAP

Highlight your research

  • WRAP
    • Home
    • Search WRAP
    • Browse by Warwick Author
    • Browse WRAP by Year
    • Browse WRAP by Subject
    • Browse WRAP by Department
    • Browse WRAP by Funder
    • Browse Theses by Department
  • Publications Service
    • Home
    • Search Publications Service
    • Browse by Warwick Author
    • Browse Publications service by Year
    • Browse Publications service by Subject
    • Browse Publications service by Department
    • Browse Publications service by Funder
  • Help & Advice
University of Warwick

The Library

  • Login
  • Admin

International dynamic asset allocation and return predictability

Tools
- Tools
+ Tools

Basu, Devraj, Oomen, Roel and Stremme, Alexander (2010) International dynamic asset allocation and return predictability. Journal of Business Finance & Accounting, Vol.37 (No.7-8). pp. 1008-1025. doi:10.1111/j.1468-5957.2010.02195.x

Research output not available from this repository, contact author.
Official URL: http://dx.doi.org/10.1111/j.1468-5957.2010.02195.x

Request Changes to record.

Abstract

The presence of time varying investment opportunity sets has been documented in the context of international asset allocation, and the economic value associated with these is a topic of lively debate in the academic literature. This paper constructs simple, real-time dynamic international asset allocation strategies based on daily data that exploit the return predictability arising from time varying market integration. Our timing strategies outperform the major (US, UK, Japanese and German) country indices and related portfolios, particularly in down markets. The strategies appear to capture much of the economic value of the return predictability implied by market integration and have many of the characteristics of successful timing strategies.

Item Type: Journal Article
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences > Warwick Business School > Finance Group
Faculty of Social Sciences > Warwick Business School
Journal or Publication Title: Journal of Business Finance & Accounting
Publisher: Wiley-Blackwell Publishing Ltd.
ISSN: 0306-686X
Official Date: September 2010
Dates:
DateEvent
September 2010Published
Volume: Vol.37
Number: No.7-8
Number of Pages: 18
Page Range: pp. 1008-1025
DOI: 10.1111/j.1468-5957.2010.02195.x
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

Data sourced from Thomson Reuters' Web of Knowledge

Request changes or add full text files to a record

Repository staff actions (login required)

View Item View Item
twitter

Email us: wrap@warwick.ac.uk
Contact Details
About Us